US TSYS: TSY REVERSE LOSSES LATE, SQUARING AHEAD CHINA XI CONF

US TSY SUMMARY: Tsy futures recovered late, curves flattened; equity sell

interest in dealer order books ballooning late, eminis trimming gains, longer

Tsys inched higher in turn -- unwinding today's risk-on tone ahead Xi tonight.

Rather muted session in general, light volume in futures (TYM<850k by the bell)

with no substantive data to trade. 

- US$ index reversed early gains (DXY -.286, 89.840); stocks firmer but well

midday highs (emini +26.25, 2632.0 vs. 2653.75H); West Texas crude higher/off

highs (WTI +1.28, 63.34) as tensions w/Iran simmered.

- Federal Reserve releases the minutes from the March 20-21st FOMC meeting on

Wednesday at 1400ET, followed by multiple Fed presidents will be participating

in speaking/question and answer events throughout the week.

- Data focus on Producer Price Index (0.2% est) Tue at 0830ET and Consumer Price

Index (0.2% est) Wed at 0830ET. 

- Incoming Tsy supply includes 3M and 6M bill supply Mon, $30B 3Y note Tue, $21B

10Y re-open Wed, and $13B 30Y re-open Thu.

- Late ylds: 2Y 2.282%, 3Y 2.416%, 5Y 2.599%, 7Y 2.719%, 10Y 2.783%, 30Y 3.015%

US TSY FUTURES CLOSE: Reverse losses late, curve flattening out by the bell with

long end outperforming. 10Y yld falls below 2.79 late, 2.7844% last, TYM futures

volume light <835k. Curve update:

* 2s10s -0.942, 49.388 (51.542H/49.388L);

* 2s30s -2.038, 72.767 (75.753H/72.687L);

* 5s30s -1.435, 41.642 (43.332H/41.313L);

Current futures levels:

* Jun Ultra bonds up 3/32 at 159-11 (158-11L/159-12H)

* Jun 30-yr Bond futures up 1/32 at 146-02 (145-14L/146-03H)

* Jun 10-yr futures down 3.5/32 at 120-29 (120-23L/121-00H)

* Jun 5-yr futures down 2.75/32 at 114-09.75 (114-06.75L/114-12.75H)

* Jun 2-yr futures down 1/32 at 106-09.5 (106-08.75L/106-11H)

US EURODOLLAR FUTURES CLOSE: Steady/mixed in short end, lead Jun'18 quarterly

leading since 3M LIBOR set marginally lower (breaking >40 consecutive days

higher sets. Levels marginally lower out the strip/top end of range. Current

White pack (Jun'18-Mar'19):

* Jun'18 +0.015 at 97.695

* Sep'18 +0.005 at 97.615

* Dec'18 -0.005 at 97.500

* Jun'19 +0.000 at 97.415

* Red pack (Jun'19-Mar'20) -0.005

* Green pack (Jun'20-Mar'21) -0.005

* Blue pack (Jun'21-Mar'21) -0.005

* Gold pack (Jun'22-Mar'22) steady to +/-0.005

US DOLLAR LIBOR: Latest settles,

* O/N +0.0000 to 1.7031% (+0.0062 last wk)

* 1 Month +0.0000 to 1.8971% (+0.0140 last wk)

* 3 Month +0.0000 to 2.3374% (+0.0256 last wk)

* 6 Month -0.0016 to 2.4706% (+0.0208 last wk)

* 1 Year -0.0047 to 2.7035% (+0.0446 last wk)

REPO REFERENCE RATES: (rate, volume)

* Secured Overnight Financing Rate (SOFR): steady 1.75%, $845B

* Broad General Collateral Rate (BGCR): steady at 1.70%, $352B

* Tri-Party General Collateral Rate (TGCR): steady 1.70%, $336B

US SWAPS: Spds tighter across the board but off narrows late, spd curve steeper

with short end leading compression all day. Flow remains mixed over the last

hour, includes 

* $48.8k DV01 2Y-3Y STEEPENER

* $89.5k DV01 2Y-5Y FLATTENER

* $215.4k 3Y-5Y-7Y Fly, paying the belly

* $295.2k 2Y-9Y-10Y Fly, receiving the belly

* Earlier flow included scale payer >$500M in 5s from 2.7575-2.7525%

PIPELINE: Slow start to week, $500M SK Tel 5Y priced

Date $MM Issuer/Rating/Desc/Maturity/Yld/Leads; Priced *; Launch #:

04/09 $500M *SK Telecom 5Y +117.5

04/09 $575M #Nevada Power Co 2Y +47

04/09 $Benchmark Banco Santander Sr Non-Pfd 5Y Fxd/FRN, 10Y

04/09 $Benchmark Ontario Teachers' Finance Trust 3Y

OUTLOOK: Data/speaker calendar (prior, estimate): 

- Apr 10 Dall Fed pres Kaplan moderated Q&A, Tsinghua Univ School of Econ/Mngt

Beijing, 0430ET

- Apr 10 Mar NFIB Small Business Index (107.6, --) 0600ET 

- Apr 10 Mar Final Demand PPI (0.2%, 0.1%) 0830ET 

- Apr 10 Mar PPI ex. food and energy (0.2%, 0.2%) 0830ET 

- Apr 10 Mar PPI ex. food, energy, trade (0.4%, --) 0830ET 

- Apr 10 07-Apr Redbook retail sales m/m (0.4%, --) 0855ET 

- Apr 10 Feb wholesale inventories (0.8%, --) 1000ET 

- Apr 10 Feb wholesale sales (-1.1%, --) 1000ET 

- Apr 10 US Tsy $30B 3Y note auction, settle Apr 16 1300ET

Eurodollar/Treasury Option Summary

Eurodollar options, Pit/screen:

* 15,000 short Apr 72 puts, 1.0 vs. 97.29-.285/0.10%

* 5,000 Jun 73/75 2x1 put spds, cab

* +5,000 Blue Jun 66 puts, 1.0

* 5,000 short Apr 72 puts, 1.0 vs. 97.29/0.10%

* +10,000 Aug 72/73 put spds, 1.25 vs. 97.69/0.10%

* Update, total +35,000 Jun 75/76 put spds, 2.75 vs. 97.68/0.10

* 8,500 Jun 76/77 1x2 call spds, 2.0

* 6,750 Jun 76/77/78 call flys, 3.25

* 5,000 short Jun 75 calls, 2.5 vs. 97.25/0.12%

* +10,000 May 75 puts, 0.5 vs. 97.67/0.10% earlier

* Update, total +25,000 Jun 75/76 put spds, 2.75 vs. 97.68/0.10

* additional +7,000 Jun 75/76 put spds, 3.0 vs. Jun 78 calls, 1.5

* 20,000 Jun 75/76 put spds, 2.75 vs. 97.68/0.10

* -4,000 Jun 76 straddles, 12.5

* +5,000 Red Sep'19 68/71 put spds, 8.5 vs. 97.28

* -7,000 Green Jun 72 calls, 9.0 to 8.5 vs. 97.165

* -2,000 short May 72 straddles, 15.0

* -2,000 short Sep 70/72/73 iron flys, 14.5

* -5,000 Apr 76/May 75 put strip, 0.5

* +2,000 Green Sep 71 straddles, 38.5

* +10,000 Jun 75 puts 0.5 vs. 97.67/0.10%, after 10k Blocked at 0.75

* +10,000 Aug 72/73 put spds, 1.25

Block, 0923:20ET

* +10,000 Jun 75 puts, 0.75 vs. 97.68/0.10%

* +10,000 Jun 76/77 1x2 call spds, 1.75

* 1,000 Jun 73/75/76 put trees, 2.75,

* 25,000 short May 75/Blue May 73 call spds, 0.0, short May sold over adds to

Reds/Blues conditional flattener done last week (spds and outright buyer of Blue

May 73 calls in late March).

* +5,000 Jun 75 puts, 0.75 after the bell

Tsy options, Pit/screen:

* 1,000 USK 142/143 put spds, 3/64

* +2,000 FVM 114.5/115.75 1x2 call spds, 12/64

* +1,000 FVM 114.75/115.5 1x3 call spds, 0.0

--MNI Chicago Bureau; tel: +1 312-431-0089; email: bill.sokolis@marketnews.com

[TOPICS: MTABLE,M$U$$$,M$$FI$,MN$FI$,MN$FX$]